A Full-Newton Step O(n) Infeasible Interior-Point Algorithm for Linear Optimization

• Authors: C. Roos
• Venue: SIAM Journal on Optimization
• Year: 2006

We present a primal-dual infeasible interior-point algorithm. As usual, the algorithm decreases the duality gap and the feasibility residuals at the same rate. Assuming that an optimal solution exists, it is shown that at most $O(n)$ iterations suffice to reduce the duality gap and the residuals by the factor $1/{e}$. This implies an $O(n\log(n/\varepsilon))$ iteration bound for getting an $\varepsilon$-solution of the problem at hand, which coincides with the best known bound for infeasible interior-point algorithms. The algorithm constructs strictly feasible iterates for a sequence of perturbations of the given problem and its dual problem. A special feature of the algorithm is that it uses only full-Newton steps. Two types of full-Newton steps are used, so-called feasibility steps and usual (centering) steps. Starting at strictly feasible iterates of a perturbed pair, (very) close to its central path, feasibility steps serve to generate strictly feasible iterates for the next perturbed pair. By accomplishing a few centering steps for the new perturbed pair we obtain strictly feasible iterates close enough to the central path of the new perturbed pair. The algorithm finds an optimal solution or detects infeasibility or unboundedness of the given problem.